Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0006 |
| Annualized Std Dev | 0.1419 |
| Annualized Sharpe (Rf=0%) | -0.0043 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5586.0000 |
| NAs | 1.0000 |
| Minimum | -0.1316 |
| Quartile 1 | -0.0031 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0038 |
| Maximum | 0.1347 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0089 |
| Skewness | -0.3807 |
| Kurtosis | 42.0037 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0065 |
| Gain Deviation | 0.0069 |
| Loss Deviation | 0.0078 |
| Downside Deviation (MAR=210%) | 0.0115 |
| Downside Deviation (Rf=0%) | 0.0065 |
| Downside Deviation (0%) | 0.0065 |
| Maximum Drawdown | 0.5532 |
| Historical VaR (95%) | -0.0119 |
| Historical ES (95%) | -0.0213 |
| Modified VaR (95%) | -0.0080 |
| Modified ES (95%) | -0.0080 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-01-03 | 2008-12-16 | 2012-03-12 | -0.5532 | 1559 | 745 | 814 |
| 2012-12-03 | 2020-03-18 | NA | -0.3668 | 2089 | 1835 | NA |
| 1999-02-01 | 2000-05-15 | 2005-12-29 | -0.2782 | 1739 | 325 | 1414 |
| 2012-03-13 | 2012-03-16 | 2012-05-02 | -0.0679 | 36 | 4 | 32 |
| 2012-10-24 | 2012-11-05 | 2012-11-09 | -0.0312 | 11 | 7 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.8 | 0.4 | 0.9 | 0.9 | 0.5 | 0 | 1.4 | 0.5 | 1 | 0.5 | 0 | 2.7 | 8.1 |
| 2000 | -1.5 | -1.5 | 5.6 | 0 | 2.1 | 2.6 | -0.5 | 0 | 0.5 | 0 | 0 | 0 | 7.3 |
| 2001 | 1.7 | 0.2 | 1 | -0.4 | 0.1 | -0.4 | 0.4 | 0 | 1.5 | 1.8 | 0.3 | 0.1 | 6.5 |
| 2002 | 0.1 | -0.3 | 0.9 | 0.1 | 0.4 | 0.5 | 0.3 | 0.8 | 0.1 | 0.6 | -0.2 | 0.4 | 3.8 |
| 2003 | 0 | 0.1 | 0.2 | -0.2 | 0.4 | 0.6 | -0.5 | 0.4 | 0.1 | 0.1 | -0.8 | 0.3 | 0.8 |
| 2004 | 0.7 | -0.2 | 0.1 | 0.9 | 0.4 | 1.1 | 0.1 | 0.2 | -0.8 | 0.2 | 0.3 | 0.1 | 3.3 |
| 2005 | 0.1 | 0.1 | 0.3 | -0.1 | 0.1 | 0.1 | -0.1 | 0.1 | 0.1 | 0.1 | 0.7 | 0.5 | 2 |
| 2006 | -1 | -0.3 | 0.5 | -0.8 | 0 | 2 | 0.6 | 0 | -0.1 | 0.8 | 0 | 0.7 | 2.4 |
| 2007 | -0.1 | -0.1 | 0.2 | 0.6 | -0.4 | 1.5 | -0.2 | 0.7 | 0.4 | 0.4 | 0.5 | 0.5 | 4 |
| 2008 | 0.8 | -2 | 0.8 | 0 | 0 | -0.2 | 0.2 | -0.3 | 1.1 | -1.7 | 0.1 | 1.3 | 0 |
| 2009 | 2 | -1.2 | 1.3 | 0.5 | -0.9 | 0.5 | 0.7 | 0.2 | -0.1 | -2.2 | 0.7 | 0.2 | 1.6 |
| 2010 | -0.2 | -0.2 | 0.1 | -0.3 | 0.8 | -0.1 | -0.2 | -0.7 | 0.4 | -0.4 | -1.2 | 2.3 | 0.1 |
| 2011 | 1.2 | 0.5 | 0.9 | 0.6 | -0.6 | 0.4 | 0.5 | 0.6 | 0.2 | 0.1 | -0.5 | 0.3 | 4.2 |
| 2012 | -0.1 | 0.7 | -0.1 | 0.6 | -0.1 | 0.3 | 0.3 | -1.1 | 0.1 | 0.4 | 0.3 | 0.5 | 1.8 |
| 2013 | -0.2 | -1.4 | -0.4 | 0.3 | -2.3 | -0.1 | -0.6 | 0 | -0.5 | -1.1 | -0.1 | -0.2 | -6.5 |
| 2014 | 0.3 | -0.4 | 0.3 | 0.5 | -0.8 | -0.3 | -0.1 | -0.1 | 0.5 | 0 | -0.3 | -0.1 | -0.6 |
| 2015 | 0.7 | 1.6 | 0.1 | 0.1 | 0.3 | 0.1 | 1.1 | -0.1 | 0.3 | 0.7 | 0.3 | 0.3 | 5.5 |
| 2016 | 0 | 1 | 0.5 | 0.2 | 1.3 | 0 | -0.2 | 0.3 | -0.2 | -0.1 | -0.7 | -0.1 | 1.9 |
| 2017 | -0.1 | -0.1 | 0.4 | 0.2 | -0.1 | 0 | 0.4 | 0.1 | -0.1 | -0.1 | 0.6 | -0.4 | 0.9 |
| 2018 | -0.4 | -0.5 | 0.4 | -0.2 | 0.2 | 0.2 | -0.5 | -0.3 | -0.1 | 0.4 | 0.5 | 0.3 | -0.1 |
| 2019 | -0.2 | 0.2 | -0.1 | 0.1 | -0.1 | 0.1 | 0.8 | 0.2 | 0.1 | -0.4 | 0.1 | 0.5 | 1.1 |
| 2020 | -0.1 | -0.5 | -2.6 | 0.6 | -0.1 | 0.1 | 0.3 | 0.5 | 0.6 | -0.1 | 0.1 | 0.3 | -1 |
| 2021 | 0.6 | -0.2 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
